Specification Tests of Parametric Dynamic Conditional Quantiles

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An updated review of Goodness-of-Fit tests for regression models (2013, background): “See also Escanciano and Velasco (2010) for generalizations of the empirical process approach to dependent data for dynamic quantile functions.”
Testing for Granger-causality in quantiles (2018, methodology): “Assumption 6 is analogous to Assumption A6 of Escanciano and Velasco (2010), but we consider just the restricted information set It .”
Frontiers in VaR forecasting and backtesting (2016, background): “However, there is not comparison with the tests proposed by Escanciano and Velasco (2010).”
Testing Multivariate Economic Restrictions Using Quantiles: The Example of Slutsky Negative Semidefiniteness (2011, unknown): “In the statistics literature, the closest work we are aware of includes the testing procedures proposed by Zheng (1998), Sun (2006), Escanciano and Velasco (2010), and Dette, Volgushev and Wagener (2011).”